A:
Our galaxy is called "the Milky Way" because, before telescopes
could resolve all the multitudes of stars that make up the Milky
Way, people weren't sure what that fuzzy streak across the sky
was made up of. That is, looking up at the night sky, the Milky
Way looks like thin white-ish diffuse clouds (i.e. it looks
"milky")http://www.astro.wisc.edu/~dolan/constellations/mw/MilkyWay.html
When viewed through a telescope, however, one sees that this is
effect is actually from the light of many, many faint stars combining
together.
The following web page also has a nice answer to this question:http://curious.astro.cornell.edu/question.php?number=94